Issue Comments

EN.PR.A : Partial Call for Redemption

Energy Split Corp. II Inc. has announced:

that in relation to its reorganization, the Company has called 186,000 ROC Preferred Shares for cash redemption on December 14, 2007 representing approximately 22.245% of the outstanding ROC Preferred Shares. The ROC Preferred Shares shall be redeemed on a pro rata basis so that each holder of ROC Preferred Shares of record on December 13, 2007 will have approximately 22.245% of their ROC Preferred Shares redeemed. The redemption price of the ROC Preferred Shares will be equal to the lesser of (i) Unit Value as determined on the December 6, 2007 (the “Valuation Date”) and (ii) $25.00. As at the close of business today, Unit Value was $42.76.

Holders of ROC Preferred Shares that are on record for the dividend but have been called for redemption will be entitled to receive dividends thereon which have been declared but remain unpaid up to but not including December 16, 2007.

The Company is redeeming the 186,000 ROC Preferred Shares in order to increase the downside protection on the remaining ROC Preferred Shares to approximately 55%, as of November 30, 2007, in order to maintain the current rating of Pfd-2 (low) on the ROC Preferred Shares. There is no assurance that the rating will be maintained and the redemption and reorganization are not conditional on the rating being maintained. The redemption is taking place in accordance with the approval received from shareholders at the meeting approving the reorganization.

“Downside protection of 55%” has the same meaning as “Asset Coverage of 2.22:1” … as assets worth $2.22 can lose 55% of their value and still be worth $1.00.

This announcement is in accord with the previously announced plan.

EN.PR.A is tracked by HIMIPref™, but is not included in any of the indices due to low average volume. There are a mere 1,209,398 shares outstanding, according to the Toronto Stock Exchange.

Index Construction / Reporting

HIMIPref™ Index Rebalancing : November 30, 2007

 

HIMI Index Changes, November 30, 2007
Issue From To Because
TOC.PR.B Floater Scraps Volume
TCA.PR.Y PerpetualDiscount PerpetualPremium Price
POW.PR.C PerpetualDiscount PerpetualPremium Price
BAM.PR.G FixFloat Scraps Volume
BCE.PR.T Scraps FixFloat Volume
NA.PR.K PerpetualPremium PerpetualDiscount Price
CM.PR.E PerpetualPremium PerpetualDiscount Price

Index performance for November has been posted previously.  

Index Construction / Reporting

Index Performance, November 2007

Performance of the HIMIPref™ Indices for November was:

Total Return, November 2007
Index Performance
Ratchet +0.03%
FixFloat -0.54%
Floater -6.60%
OpRet +0.51%
SplitShare -2.37%
Interest +0.35%
PerpetualPremium +0.12%
PerpetualDiscount -0.07%

The FloatingRate index was adversely affected by having two of its three constituents (BAM.PR.B & BAM.PR.K) among the five worst performing issues in the universe in the past month.

The performance of the SplitShare index was very odd, being dragged down by three issues that performed appallingly:

Extreme Performances in SplitShare Index
November 2007
Issue November
Total
Return		 Yield
October 31		 Yield
November 30
BNA.PR.C -8.46% 6.47% 7.62% 
BNA.PR.B -9.59% 5.30% 6.90%
FTU.PR.A -8.53% 4.93% 7.12%

The effect of these three miserable performances was to drag the SplitShare index total return down by approximately 1.75%. The strange behaviour of the BNA issues during the month has been discussed in another post. 

Claymore has published NAV data for CPD and I have derived the following table:

CPD Return, 1- & 3-month, to November 30
Date NAV Distribution Return for Sub-Period Monthly Return
August 31 19.04      
September 25 18.76 0.2185 -0.32% -1.23%
September 28, 2007 18.59   -0.91%
October 31 18.19   -2.15% -2.15%
November 30, 2007 17.97   -1.21% -1.21%
Quarterly Return -4.52%

The DPS.UN NAV for November 28 has been published, so we can calculate the November-ish returns for it:

DPS.UN NAV Return, November-ish 2007
Date NAV Distribution Return for period
October 31 $21.35    
November 28 $21.07 $0.00 -1.31%
Adjustment for November stub-period +0.17%
Estimated November Return -1.14%
CPD had a NAV of $17.94 on November 28 and $17.97 on November 30. The estimated end-of-month stub period return for CPD was therefore +0.17%, which is added to the DPS.UN total return in order to estimate the return for November.

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for September and October to derive:

DPS.UN NAV Returns, three-month-ish to end-November-ish, 2007
September-ish -0.92%
October-ish -1.86%
November-ish -1.14%
Three-months-ish -3.87%

Issue Comments

Best & Worst Performing Issues : November, 2007

These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.

Issue Index DBRS Rating Monthly Performance Notes (“Now” means “November 30”)
ELF.PR.G PerpetualDiscount Pfd-2(low) -14.21% Now with a pre-tax bid-YTW of 7.16% based on a bid of 16.90 and a limitMaturity.
 
ELF.PR.F PerpetualDiscount Pfd-2(low) -11.20% Now with a pre-tax bid-YTW of 7.00% based on a bid of 19.27 and a limitMaturity.
BAM.PR.B Floater Pfd-2(low) -10.60%  
BAM.PR.K Floater Pfd-2(low) -9.68%  
BNA.PR.B SplitShare Pfd-2(low) -9.59% Asset coverage of just under 4.0:1 as of October 31, according to the company. Now with a pre-tax bid-YTW of 6.90% based on a bid of 22.00 and a hardMaturity 2016-3-25 at 25.00.
… … … … …
GWO.PR.E OpRet Pfd-1(low) +3.07% Now with a pre-tax bid-YTW of 3.74% based on a bid of 25.68 and a call 2011-4-30 at 25.00.
ENB.PR.A PerpetualDiscount Pfd-2(low) +3.47% Now with a pre-tax bid-YTW of 5.55% based on a bid of 24.86 and a limitMaturity.
PWF.PR.K PerpetualDiscount Pfd-1(low)  +3,83% Now with a pre-tax bid-YTW of 5.62% based on a bid of 22.25 and a limitMaturity.
CL.PR.B PerpetualPremium Pfd-1(low) +3.88% Now with a pre-tax bid-YTW of 1.82% based on a bid of 25.80 and a call 2008-1-30 at 25.75.
BSD.PR.A InterestBearing Pfd-2 +5.94% Asset coverage of 1.6+:1 as of November 30, according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.21% (mostly as interest) based on a bid of 9.88 and a hardMaturity 2015-3-31 at 10.00.

The variance of returns was even more bizarre this month than it was in October! The underperformance of the E-L Financial issues, ELF.PR.F & ELF.PR.G is very surprising.

Market Action

November 30, 2007

An extremely busy day to finish the month!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.86% 4.84% 112,447 15.75 2 +0.0614% 1,049.6
Fixed-Floater 4.91% 4.93% 98,259 15.62 8 -0.1617% 1,035.4
Floater 4.84% 4.91% 59,518 15.59 3 +0.0592% 970.9
Op. Retract 4.88% 2.47% 80,591 3.81 16 -0.0406% 1,031.8
Split-Share 5.34% 6.23% 92,352 4.09 15 +0.1093% 1,018.5
Interest Bearing 6.24% 6.52% 69,058 3.75 4 -0.1081% 1,065.7
Perpetual-Premium 5.86% 5.34% 91,238 8.05 11 -0.0066% 1,008.1
Perpetual-Discount 5.61% 5.65% 348,050 14.20 55 +0.2244% 904.3
Major Price Changes
Issue Index Change Notes
BNA.PR.B SplitShare -4.3478% Asset coverage of 4.0:1 according to the company. Pre-tax bid-YTW now 6.90% based on a bid of 22.00 and a hardMaturity 2016-3-25 at 25.00.
BAM.PR.G FixFloat -1.5748%  
LBS.PR.A SplitShare -1.1765% Asset coverage of 2.4+:1 as of November 29, according to Brompton. Now with a pre-tax bid-YTW of 5.26% based on a bid of 10.08 and a hardMaturity 2013-11-29 at 10.08.
ELF.PR.G PerpetualDiscount -1.1696% Now with a pre-tax bid-YTW of 7.16% based on a bid of 16.90 and a limitMaturity.
BNA.PR.C SplitShare -1.0932% Asset coverage of 4.0:1 according to the company. Now with a pre-tax bid-YTW of 7.62% based on a bid of 19.00 and a hardMaturity 2019-1-10 at 25.00.
WFS.PR.A SplitShare +1.1213% Asset coverage of 1.9+:1 as of November 22, according to Mulvihill. Now with a pre-tax bid-YTW of 5.82% based on a bid of 9.92 and a hardMaturity 2011-6-30 at 10.00.
FIG.PR.A InterestBearing +1.1518% Asset coverage of 2.1+:1 as of November 28, according to Faircourt. Now with a pre-tax bid-YTW of 7.11% (mostly as interest) based on a bid of 9.66 and a hardMaturity 2014-12-31 at 10.00.
POW.PR.D PerpetualDiscount +1.1526% Now with a pre-tax bid-YTW of 5.78% based on a bid of 21.94 and a limitMaturity.
BNS.PR.M PerpetualDiscount +1.2013% Now with a pre-tax bid-YTW of 5.41% based on a bid of 21.06 and a limitMaturity.
CIU.PR.A PerpetualDiscount +1.2195% Now with a pre-tax bid-YTW of 5.58% based on a bid of 20.75 and a limitMaturity.
NA.PR.L PerpetualDiscount +1.4829% Now with a pre-tax bid-YTW of 5.97% based on a bid of 20.53 and a limitMaturity.
IAG.PR.A PerpetualPremium +1.7632% Now with a pre-tax bid-YTW of 5.70% based on a bid of 20.20 and a limitMaturity.
NA.PR.K PerpetualDiscount +1.9311% Now with a pre-tax bid-YTW of 6.07% based on a bid of 24.28 and a limitMaturity.
HSB.PR.D PerpetualDiscount +2.1530% Now with a pre-tax bid-YTW of 5.70% based on a bid of 22.30 and a limitMaturity
BSD.PR.A InterestBearing +2.2774% Asset coverage of just under 1.7:1 as of November 23, 2007, according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.21% based on a bid of 9.88 and a hardMaturity 2015-3-31.
FFN.PR.A SplitShare +2.5961% Asset coverage of 2.3:1 as of November 15, according to the company. Now with a pre-tax bid-YTW of 5.77% based on a bid of 22.50 and a limitMaturity.
FTU.PR.A SplitShare +2.6667% Asset coverage of 1.8+:1 as of November 15, according to . Now with a pre-tax bid-YTW of 7.12% based on a bid of 9.24 and a hardMaturity 2012-12-1 at 10.00.
Volume Highlights
Issue Index Volume Notes
IQW.PR.C Scraps (would be OpRet, but there are credit concerns) 456,020 Now with a pre-tax bid-YTW of 209.05% (annualized!) based on a bid of 17.80 and a softMaturity 2008-2-29 at 25.00. But don’t count on it!
NTL.PR.F Scraps (would be Ratchet, but there are credit concerns) 376,393  
PWF.PR.E PerpetualDiscount 221,500 Scotia crossed 200,000 at 24.71. Now with a pre-tax bid-YTW of 5.57% based on a bid of 24.62 and a limitMaturity.
TD.PR.P PerpetualDiscount 142,760 Now with a pre-tax bid-YTW of 5.43% based on a bid of 24.42 and a limitMaturity.
RY.PR.W PerpetualDiscount 69,809 Now with a pre-tax bid-YTW of 5.46% based on a bid of 22.58 and a limitMaturity.
GWO.PR.H PerpetualDiscount 54,830 Now with a pre-tax bid-YTW of 5.69% based on a bid of 21.35 and a limitMaturity.
RY.PR.D PerpetualDiscount 54,830 Now with a pre-tax bid-YTW of 5.45% based on a bid of 20.80 and a limitMaturity.

There were seventy-four other index-included $25.00-equivalent issues trading over 10,000 shares today.

HIMI Preferred Indices

HIMIPref™ Preferred Indices : May 2004

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 2004-05-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,352.5 1 2.00 2.50% 21.0 69M 2.52%
FixedFloater 2,151.8 8 2.00 2.45% 19.5 81M 5.32%
Floater 1,947.1 6 2.00 2.63% 20.0 65M 2.90%
OpRet 1,707.6 22 1.46 4.05% 3.9 136M 4.86%
SplitShare 1,734.1 16 1.81 4.58% 4.0 54M 5.44%
Interest-Bearing 2,089.1 10 2.00 6.08% 2.4 128M 7.32%
Perpetual-Premium 1,321.3 25 1.52 5.45% 6.1 173M 5.70%
Perpetual-Discount 1,523.0 7 2.00 5.64% 14.3 150M 5.55%

Index Constitution, 2004-05-31, Pre-rebalancing

Index Constitution, 2004-05-31, Post-rebalancing

Issue Comments

BIG.PR.A : Partial Call for Redemption

Big 8 Split Inc. has announced:

it has called 10,584 Preferred Shares for cash redemption on December 14, 2007 representing approximately 0.4% of the outstanding Preferred Shares as a result of holders of 10,584 Capital Shares exercising their special annual retraction rights. The Preferred Shares shall be redeemed on a pro rata basis, so that holders of record of Preferred Shares on the close of business on December 13, 2007 will have approximately 0.5% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $25.00 per share. Holders of Preferred Shares that have been called for redemption will be entitled to receive dividends thereon which have been declared but remain unpaid up to and including December 14, 2007.

In addition, holders of a further 91,096 Preferred and Capital Shares have deposited such shares concurrently for retraction on December 14, 2007. As a result, a total of 101,680 Preferred and Capital Shares, or approximately 4.3% of both classes of shares currently outstanding will be redeemed.

Payment of the amount due to retracting shareholders will be made by the Company on December 14, 2007. From and after December 15, 2007 the holders of Preferred Shares that have been called for redemption will not be entitled to dividends or to exercise any right in respect of such shares except to receive the amount due on redemption.

BIG.PR.A is not tracked by HIMIPref™.

Issue Comments

FBS.PR.B : Partial Call for Redemption

5Banc Split Inc. has announced:

it has called 1,350,696 Preferred Shares for cash redemption on December 14, 2007 representing approximately 10% of the outstanding Preferred Shares as a result of holders of 1,350,696 Capital Shares exercising their special annual retraction rights. The Preferred Shares shall be redeemed on a pro rata basis, so that holders of record of Preferred Shares on the close of business on December 13, 2007 will have approximately 10% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $10.00 per share. Holders of Preferred Shares that have been called for redemption will be entitled to receive dividends thereon which have been declared but remain unpaid up to and including December 14, 2007.

In addition, holders of a further 585,270 Preferred and Capital Shares have deposited such shares concurrently for retraction on December 14, 2007. As a result, a total of 1,935,966 Preferred and Capital Shares, or approximately 14% of both classes of shares currently outstanding will be redeemed.

Payment of the amount due to retracting shareholders will be made by the Company on December 14, 2007. From and after December 15, 2007 the holders of Preferred Shares that have been called for redemption will not be entitled to dividends or to exercise any right in respect of such shares except to receive the amount due on redemption.

FBS.PR.B is tracked by HIMIPref™ with the securityCode A29001. It is currently included in the HIMIPref™ SplitShare Index. It is also currently included in the S&P/TSX Preferred Share Index but will be removed in January.

Last January, the company very proudly announced the underwriters’ greenshoe had been exercised … sic transit gloria mundi.

Regulatory Capital

RY Tier 1 Capital : October 2007

Royal Bank has released its Fourth Quarter, 2007, Report and Supplementary Information; I will analyze this in the same format as was has been recently done for NA, BMO and TD.

Step One is to analyze their Tier 1 Capital, reproducing the summary produced last year:

RY Capital Structure
October, 2007
& October 2006
  2007 2006
Total Tier 1 Capital 23,383 21,478
Common Shareholders’ Equity 95.2% 98.1%
Preferred Shares 10.0% 6.3%
Innovative Tier 1 Capital Instruments 14.9% 15.0%
Non-Controlling Interests in Subsidiaries 0.1% 0.1%
Goodwill -20.3% -19.5%

Next, the issuance capacity (from Part 3 of last year’s series):

RY
Tier 1 Issuance Capacity
October 2007
& October 2006
  2007 2006
Equity Capital (A) 17,545 16,911
Non-Equity Tier 1 Limit (B=A/3) 5,848 5,637
Innovative Tier 1 Capital (C) 3,494 3,222
Preferred Limit (D=B-C) 2,354 2,415
Preferred Y/E Actual (E) 2,344 1,345
New Issuance Capacity (F=D-E) 10 1,070
Items A, C & E are taken from the table
“Capital”
of the supplementary information;
Note that Item A includes Goodwill and non-controlling interest
Item B is as per OSFI Guidelines
Items D & F are my calculations.

We can now show the all important Risk-Weighted Asset Ratios!

RY
Risk-Weighted Asset Ratios
October 2007
& October 2007
  Note 2007 2006
Equity Capital A 17,545 16,911
Risk-Weighted Assets B 247,635 223,709
Equity/RWA C=A/B 7.09% 7.56%
Tier 1 Ratio D 9.4% 9.6%
Capital Ratio E 11.5% 11.9%
A is taken from the table “Issuance Capacity”, above
B, D & E are taken from the Supplementary Report
C is my calculation.

Note that, as with all banks examined thus far, the Equity/RWA ratio and Tier 1 Ratio have both deteriorated over the year, but for NA and RY the Total Capital Ratio has also declined. RY’s Subordinated Debt outstanding has been fairly constant over the past year, although $1-billion-odd of direct subordinated debt has been replaced with “Trust Subordinated Notes”. These are described in RY’s Second Quarter 2007 Report – seems to me that RY was able to get away with an extraordinarily low rate of interest on them – about 5bp over 7.5 year deposit notes, as far as I can make out.

And, of course, RY has done quite a bit of opportunistic – and very well timed! – preferred share issuance in the past fiscal year: RY.PR.C (settled 2006-11-1), RY.PR.D, RY.PR.E, RY.PR.F & RY.PR.G

It is disappointing to see the deterioration in the Equity/RWA ratio over the year – I consider this to be a measure of the safety of the preferred shares, as it is the “total risk” of the bank’s assets (as defined by the regulators) divided by the value of capital junior to preferreds (which therefore takes the first loss). It is by no means anything to lose a lot of sleep over, as it still remains strong – the preferreds are better protected than the sub-debt of a lot of global banks – but … geez, the direction’s wrong!

I won’t discuss the annual results to any great extent – there will be innumerable reports over the next few months released by analysts with a great deal more time to spend on the matter than I have.

Market Action

November 29, 2007

Well … today the TD Bank and National Bank financials were analyzed … and, in addition, month-end is a-coming and duty calls with a shrill, unpleasant voice.

So there won’t be much colour today.

American ABCP outstanding was down another $11-billion this week, continuing its decline as the overleveraged economy continues to unwind. Domestic Financial CP outstanding was up $25-billion; although this figure has not picked up all the slack since the peak, this illustrates the Banks Advantage in Cushioning Liquidity Shocks.

The Florida State-sponsored Money Market Fund mentioned yesterday has suspended redemptions:

Florida officials voted to suspend withdrawals from an investment fund for schools and local governments after redemptions sparked by downgrades of debt held in the portfolio reduced assets by 44 percent.
…
It wasn’t decided how long the suspension would last. The trustees meet again on Dec. 4.

“We’re getting a lot of calls,” said Mike McCauley, the spokesman for the State Board of Administration.

The Florida pool crisis is a sign of poor risk management by state officials, said Harvey Pitt, former chairman of the Securities and Exchange Commission.

“In the longer-term, it’s unlikely that those whose funds have been frozen will leave their money in the investment fund once the freeze lifts,” Pitt said. “All of this could, and should, have been avoided by careful due diligence, constant reassessment of risk, and paying close attention to market trends.”

Mr. Pitt did not disclose his own track-record as a money manager. His criticisms are the kind that really drive me wild – post-hoc criticisms of fund managers by guys who’ve never done it. It’s very easy to be wise after the fact.

The big danger is that such public funds will eventually migrate to nothing riskier than three-month T-Bills; why would a trustee allow anything else if he’s going to be vilified whenever he’s wrong on something?

One can only applaud Henri-Paul Rousseau in his testimony to the Quebec legislature’s public finance committee:

Executives of Canada’s biggest pension fund agreed after careful study that what constituted a crisis was open to interpretation, but believed the financial institutions would honour their commitments, he said under questioning at the provincial legislature’s public finance committee.

“There was some thinking out there that this was very risky,” Mr. Rousseau said. “We thought it was not plausible and it happened. That’s it.”
…
“Were we prudent? Yes. Did we miscalculate in terms of the probability that this would happen? Yes,” he said. “Unfortunately, that happens in our business.”

Way to go, M. Rousseau! I have no idea whether you’re a good or bad manager, either of people or of money, but at least you know the right things to say – and on this occasion, when things have gone wrong, you’re willing to wear it. My own question is, regardless of whether or not it was prudent to have $13-billion out of total Caisse assets of $207-billion in Canadian ABCP, was it prudent to have $13-billion in a $35-billion asset class? M. Rousseau’s full remarks have been published by the Caisse. He points out that while liquidity is a problem, the credit quality is entirely acceptable. I will confess that I haven’t even checked to see what proportion of the entire Money Market portfolio was comprised of ABCP, or what the investment rationale behind the MM allocation might have been.

The US bond market is on fire, with a buying panic and lots of corporate issuance; Bernanke seems to be guiding the market to expect an ease.

Another day of good volume for preferreds, with some evidence of rationalization of prices, although overall performance wasn’t all that great. Split shares had a great day, but are still basically clobbered on the month, while floaters are getting hit … trouble is, it’s hard to separate the company specifics (BAM & BCE) from the asset types. Still, that’s what makes it fun, right?

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.85% 4.83% 115,784 15.78 2 +0.0205% 1,048.9
Fixed-Floater 4.91% 4.91% 92,665 15.64 8 -0.0607% 1,037.1
Floater 4.85% 4.91% 58,963 15.59 3 -0.7731% 970.3
Op. Retract 4.88% 3.67% 76,988 3.81 16 -0.0594% 1,032.2
Split-Share 5.35% 6.10% 92,427 4.10 15 +0.9467% 1,017.4
Interest Bearing 6.29% 6.63% 67,207 3.73 4 -0.2882% 1,057.2
Perpetual-Premium 5.86% 5.11% 85,981 7.07 11 +0.5354% 1,008.2
Perpetual-Discount 5.62% 5.66% 343,498 13.99 55 +0.0703% 902.3
Major Price Changes
Issue Index Change Notes
FTU.PR.A SplitShare -2.7027% Asset coverage of 1.8+:1 as of November 15, according to the company. Pre-tax bid-YTW now 7.74% based on a bid of 9.00 and a hardMaturity 2012-12-1 at 10.00.
MST.PR.A InterestBearing -2.2287% Asset coverage of 2.1+:1 as of November 22, according to Sentry Select. Now with a pre-tax bid-YTW of 6.49% (as interest net of capital loss) based on a bid of 10.09 and a hardMaturity 2009-9-30 at 10.00.
CIU.PR.A PerpetualDiscount -1.4423% Now with a pre-tax bid-YTW of 5.65% based on a bid of 20.50 and a limitMaturity.
BAM.PR.K Floater -1.3364%  
BAM.PR.B Floater -1.1040%  
WFS.PR.A SplitShare +1.0299% Asset coverage of 1.9+:1 as of November 22, according to Mulvihill. Now with a pre-tax bid-YTW of 6.17% based on a bid of 9.81 and a hardMaturity 2011-6-30 at 10.00.
FIG.PR.A InterestBearing +1.0582% Asset coverage of 2.1+:1 as of November 28, according to Faircourt. Now with a pre-tax bid-YTW of 7.31% (mostly as interest) based on a bid of 9.55 and a hardMaturity 2014-12-31 at 10.00.
CM.PR.I PerpetualDiscount +1.1158% Now with a pre-tax bid-YTW of 5.46% based on a bid of 21.75 and a limitMaturity.
BNA.PR.A SplitShare +1.1779% Asset coverage of just under 4.0:1 according to the company. Now with a pre-tax bid-YTW of 6.38% based on a bid of 24.91 and a hardMaturity 2010-9-30 at 25.00.
SBN.PR.A SplitShare +1.2333% Asset coverage of just under 2.3:1 as of November 22, according to Mulvihill. Now with a pre-tax bid-YTW of 5.57% based on a bid of 9.85 and a hardMaturity 2014-12-1 at 10.00.
PWF.PR.K PerpetualDiscount +1.2785% Now with a pre-tax bid-YTW of 5.64% based on a bid of 22.18 and a limitMaturity.
GWO.PR.F PerpetualPremium +1.4293% Now with a pre-tax bid-YTW of 5.07% based on a bid of 25.80 and a limitMaturity.
LFE.PR.A SplitShare +1.4851% Asset coverage of 2.6+:1 as of November 15, according to the company. Now with a pre-tax bid-YTW of 4.70% based on a bid of 10.25 and a hardMaturity 2012-12-1 at 10.00.
CL.PR.B PerpetualPremium +1.5082% Now with a pre-tax bid-YTW of -0.49% based on a bid of 25.90 and a call 2007-12-31 at 25.75. A negative yield-to-worst! It’s been a while since we’ve seen that … will it be called soon, now that GWO has some money in hand?
NA.PR.K PerpetualDiscount +1.5345% Now with a pre-tax bid-YTW of 6.19% based on a bid of 23.82 and a limitMaturity.
HSB.PR.C PerpetualDiscount +2.2727% Now with a pre-tax bid-YTW of 5.77% based on a bid of 22.50 and a limitMaturity.
BNA.PR.C SplitShare +2.4533% Asset coverage of just under 4.0:1 as of October 31, according to the company. Now with a pre-tax bid-YTW of 7.48% based on a bid of 19.21 and a hardMaturity 2019-1-10 at 25.00. Another long awaited good day – but not as good as yesterday!
HSB.PR.D PerpetualDiscount +2.5846% Now with a pre-tax bid-YTW of 5.83% based on a bid of 21.83 and a limitMaturity.
BNA.PR.B SplitShare +8.4906% Whoosh! When it goes, it goes! Asset coverage of just under 4.0:1 as of October 31, according to the company. Now with a pre-tax bid-YTW of 6.22% based on a bid of 23.00 and a hardMaturity 2016-3-25 at 25.00. All three BNA issues had super days today; the yield on this one may be compared with BNA.PR.A (6.38% to 2010-9-30) and BNA.PR.C (7.48% to 2019-1-10).
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixFloat 69,400 Three Macs bought 50,000 from DS at 24.80.
BMO.PR.J PerpetualDiscount 68,715 Now with a pre-tax bid-YTW of 5.51% based on a bid of 20.55 and a limitMaturity.
BAM.PR.N PerpetualDiscount 65,710 Now with a pre-tax bid-YTW of 6.96% based on a bid of 17.45 and a limitMaturity.
RY.PR.B PerpetualDiscount 52,655 Now with a pre-tax bid-YTW of 5.44% based on a bid of 21.68 and a limitMaturity.
MFC.PR.C PerpetualDiscount 48,100 Now with a pre-tax bid-YTW of 5.37% based on a bid of 21.00 and a limitMaturity.

There were forty-one other index-included $25.00-equivalent issues trading over 10,000 shares today.